Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation
Risk Management Solutions
January 10, 2004
We use simulations to compare the potential accuracy of burn and index modelling applied to the calculation of the expected payoff and other diagnostics for weather options.
Number of Pages in PDF File: 13
Keywords: Weather derivatives, weather option pricing, burn, index modelling
JEL Classification: G13
Date posted: January 16, 2004